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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorJouaber, Kaouther*
hal.structure.identifier
dc.contributor.authorBen Salah, Meriem*
hal.structure.identifier
dc.contributor.authorRigobert, Marie-Josèphe*
dc.date.accessioned2013-05-21T13:15:50Z
dc.date.available2013-05-21T13:15:50Z
dc.date.issued2012-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11283
dc.language.isoenen
dc.subjectExtreme returnsen
dc.subjectJensen's alphaen
dc.subjectSharpe ratioen
dc.subjectSpanning testen
dc.subject.ddc332en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelF.F2.F21en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelZ.Z1.Z12en
dc.titleThe Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCaen University;France
dc.description.abstractenWe use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily returns. We find that Islamic indexes exhibit different features from their conventional benchmarks and that the Islamic screening leads to significant differences in risk and excess return. We observe differences in relative performance of the Islamic indexes according to geographical areas and activity sectors. Unlike results of previous studies on performance in bear and bull markets, lowest and highest prices do not intensify the differences between Islamic and conventional indexes.en
dc.relation.isversionofjnlnameBankers, Markets & Investors
dc.relation.isversionofjnlissue121en
dc.relation.isversionofjnldate2012-11
dc.relation.isversionofjnlpages4-16en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2033781
dc.relation.isversionofjnlpublisherGroupe Banqueen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01525801*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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